Directional Changes (DC) is a framework for studying price movements. Many studies have reported that the DC framework is useful in analysing financial markets. Other studies have suggested that, theoretically, a trading strategy that exploits the full promise of the DC framework could be astonishingly profitable. However, such a strategy is yet to be discovered. In this thesis, we explore, and consequently provide proof of, the usefulness of the DC framework as the basis of a profitable trading strategy. Existing trading strategies can be categorised into two groups: the first comprising those that rely on forecasting models; the second comprising all other strategies. In line with existing research, this thesis develops two trading strategies: the first relies on forecasting Directional Changes in order to decide when to trade; whereas the second strategy, whilst based on the DC framework, uses no forecasting models at all. This thesis comprises three original research elements: 1. We formalize the problem of forecasting the change of a trend’s direction under the DC framework. We propose a solution for the defined forecasting problem. Our solution includes discovering a novel indicator, which is based on the DC framework. 2. We develop the first trading strategy that relies on the forecasting approach established above (Point 1) to decide when to trade. 3. We develop a second trading strategy which does not rely on any forecasting model. This is trading strategy employs a DC-based procedure to examine historical prices in order to discover profitable trading rules. We examine the performance of these two trading strategies in the foreign exchange market. The results indicate that both can be profitable and that both outperform other DC-based trading strategies. The results additionally suggest that none of these two trading strategies outperforms the other in terms of profitability and risk simultaneously.

The aim of the current study is to investigate the relationship between earnings management (EM) and voluntary disclosure quality (VDQ) on Islamic and non-Islamic banks (IBs and NIBs) listed in Middle East and North African (MENA) countries during the period from 2006 to 2015. In accordance with the empirical work of Kanagaretnam et al., (2004) and Yasuda et al., (2004), the two-stage and modified Jones models were employed as major and alternative models respectively to measure EM practices. The multidimensional method of Beretta & Bozzolan (2008) was developed in order to measure VDQ. The panel regression analysis was utilised for the regression model used in the current study. The findings show that the VDQ has a negative and significant impact on EM in both IBs and NIBs, which are in line with the perspectives of both signalling and agency theories. In addition, this result remains unchanged after robustness and several additional tests. Furthermore, the findings of the multivariate analysis show that IBs and NIBs behave differently in terms of both EM practices and VDQ. This result was supported by several alternative tests. Overall, the methodological contribution of this study is the further development of the multidimensional framework of Beretta & Bozzolan, (2008) in order to measure VDQ. It is also the first empirical research, to the best of the researcher's knowledge, on the relationship between EM and VDQ in the banking industry, especially in Islamic banking. Additionally, it provides empirical evidence on the differences between IBs and NIBs that are listed in MENA countries in terms of EM and VDQ.

This thesis consists of three essays on investor sentiment and the cross-sections of stock returns. The first essay extends Deling, Shieifer abd Waldman's (1990) noise trader risk module into a module with multiple risky assets to show the asymmetric effect of sentiment in the cross-section. Guided by our module, we also find that the effect of investor sentiment can be decomposed into long and short run components. The empirical tests in the first essay of the thesis present a negative relationship between long-run sentiment component and subsequent stock returns and a positive association between the short run sentiment and contemporaneous stock returns. The second essay explores a previously unexamined sentiment channel through which technical analysis can add value. We construct a daily market TA sentiment indicator from a spectrum of commonly used technical trading strategies. We find that this indicator significantly correlates with other popular sentiment measures. An increase in TA sentiment indicator is accompanied by high contemporaneous returns and predicts high near-term returns, low subsequent returns and high crash risk in the cross-section. We also design trading strategies to explore the profitability of our new TA sentiment indicator. Our trading strategies generate remarkable and robust profits. The third essay focusses on exploring the profitability of trading strategies based on Implied Volatility indicator (VIX) from the sentiment perspective. Our trading strategies involve holding sentiment-prone stocks when VIX is low and sentiment-immune stocks when VIX is high. The shifting asset allocation strategies are based on Abreu and Brunnermeier’s (2003) delayed arbitrage theory and the asymmetric effect of investor sentiment in the cross-section. We find sentiment-prone stock have larger one-day forward retunes following high sentiment and vice versa. Our trading strategies generate substantial higher returns that benchmark portfolios, and the excess returns are not subsumed by well-known risk factors or transaction costs.

This thesis consists of three empirical essays on contemporary issues related to the banking and financial sector, particularly banks’ capital, performance, and financial inclusion. The first essay investigates the determinants of bank capital structure taking into account the impact of the crisis, banks’ systemic size and risks. Using a sample of the European Economic Area’s listed banks over 2005-2014, we find that equity capital is negatively associated with size and positively with profits, market-to-book ratio, dividends, and market return volatility risk; while credit risk does not seem to significantly affect banks’ capital structure decisions. Moreover, we find a positive relationship between equity capital and banks’ reputational risk related to Environmental Social Governance issues. The second essay explores the relationship between financial inclusion and bank performance proxied by a CAMEL-based performance index constructed using principal component analysis. We use alternative measures of financial inclusion, and distinguish between high and low income countries for 131 countries over 2005-2014. Our evidence shows that bank performance is negatively associated with credit deepening and positively with the number of ATMs. However, we find a positive association between different indicators of financial inclusion and bank performance in low income countries. The third essay develops a multidimensional financial inclusion index using principal component analysis for a sample of 95 countries over the period 2004-2015. The financial inclusion index shows an overall progress over the sample period, most markedly in the accessibility and usage dimensions. Examining country-specific factors that explain differences in the level of financial inclusion, we find that higher banking system competition, financial freedom, and capital stringency are associated with higher financial inclusion. Additionally, the level of human development, gender inequality, and education matters greatly in explaining the variation in financial inclusion across countries.

In recent years, a growing literature has emerged that focuses on the performance of volatility indices in the derivatives market. The VIX has been very popular in the US market. Since its introduction in 1993, the VIX is a barometer of investor sentiment and market volatility. However, the VIX is mostly applied to markets that have derivative options price, and it turns out that less or no derivatives market would not be able to utilize the VIX as a benchmark of volatility. Chapters 1 and 2 provide an overview of the thesis and recent developments in volatility literature. Chapter 3 presents the construction of Cross-sectional Volatility Index (CSV) which is applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts. However, the CSV Index may be applied to measure the volatility when no derivatives market exists. Chapter 4 uses the CSV Index model to approach the no derivatives market in Southeast Asian countries. As to validate the CSV Index model, we use the GARCH family and Realized volatility models to explore the predictive power of CSV Index in a non-derivatives market. The results capture symmetric and asymmetric effects on the volatility and yields for better predictive performance. Chapter 5 provides a new empirical methodology for computing a Cross-mixed Volatility (CMV) index that characterizes the country risk understood here as the financial market risk measurement. It encapsulates all the sources of risk stemming from the financial markets for any given country. The Factor-DCC model has been adopted to construct the CMV Index and to build the composite aggregation of the CMV Index. The results exhibited that the commodities were the most prominent contribution of the composition index. Chapter 6 is the conclusion of the thesis.

The main aim of this study was to measure financial capability among university students in Indonesia. However, the study also contributes to: an understanding of the concept of financial capability and how it varies across countries and between groups. The main empirical part of the study was based on a major mixed method design which involved six focus groups followed by a large-scale representative survey of 521 face-to-face structured interviews with students, from Bogor Agricultural University, Bogor, Indonesia. The empirical study provides a wealth of important findings on financial capability among students. Most importantly, it shows that there are different drivers of financial knowledge, attitudes, and behaviour. In particular, the study reveals that a financial education course had an impact on knowledge but not on attitudes and behaviour, once other factors were controlled for. Other factors showed a stronger effect on financial attitudes and behaviour. These were: financial socialisation by family; year of study; and work experiences; and for financial behaviour, the level of income was also a stronger determinant factor. Given that experience was shown as a determinant factor of knowledge, attitudes and behaviour, it is recommended that the financial education courses use experiential learning as a method of delivery to enhance their impact. However, even enhanced financial education courses, on their own, are unlikely to significantly improve financial behaviour. Appropriate provision and regulation of financial services, alongside maintaining adequate income levels are also vital.

This thesis is based on the data analysis of a large public university’s admission and graduation records between 2006 and 2014. Probit regressions were applied to analyze the relationship between high school GPA, class rank, ACT scores, and Advanced Placement (AP) test credits, and college graduation. All of the aforementioned variables were found to be significant predictors to college graduation rates. In both controlled and uncontrolled models, class rank had the largest predictive magnitude power to college graduation compared to other variables at the same significance level, followed by high school GPA, ACT scores and AP credits. In reviewing data from ACT component scores, ACT English and ACT Math were the only significant predictors to college graduation. There was heterogeneity for these variables across race, sex and residency, but at different significance levels.

Source: Dissertation Abstracts International, Volume: 39-06, Section: A, page: 3722. / Thesis (D.B.A.)--The Florida State University, 1978.

Source: Dissertation Abstracts International, Volume: 40-06, Section: A, page: 3108. / Thesis (Ph.D.)--The Florida State University, 1979.

Source: Dissertation Abstracts International, Volume: 37-10, Section: A, page: 6262. / Thesis (Ph.D.)--The Florida State University, 1976.